Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0523 |
| Annualized Std Dev | 0.3475 |
| Annualized Sharpe (Rf=0%) | 0.1506 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4522.0000 |
| NAs | 1.0000 |
| Minimum | -0.2008 |
| Quartile 1 | -0.0105 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0125 |
| Maximum | 0.2292 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0005 |
| Stdev | 0.0219 |
| Skewness | -0.1052 |
| Kurtosis | 9.5111 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0159 |
| Gain Deviation | 0.0148 |
| Loss Deviation | 0.0164 |
| Downside Deviation (MAR=210%) | 0.0202 |
| Downside Deviation (Rf=0%) | 0.0156 |
| Downside Deviation (0%) | 0.0156 |
| Maximum Drawdown | 0.6815 |
| Historical VaR (95%) | -0.0328 |
| Historical ES (95%) | -0.0514 |
| Modified VaR (95%) | -0.0320 |
| Modified ES (95%) | -0.0480 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-05-02 | 2020-03-23 | NA | -0.6815 | 2489 | 2238 | NA |
| 2007-11-01 | 2008-10-27 | 2011-04-29 | -0.6625 | 880 | 249 | 631 |
| 2006-05-10 | 2006-06-27 | 2007-04-03 | -0.2956 | 226 | 34 | 192 |
| 2007-07-24 | 2007-08-16 | 2007-10-04 | -0.2025 | 52 | 18 | 34 |
| 2004-04-07 | 2004-05-10 | 2004-09-16 | -0.1916 | 110 | 23 | 87 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | -1.6 | -1.3 | 0.2 | 0.8 | 1.8 | -0.5 | 0.1 | 0.3 | -0.3 | 3 | -0.1 | 2.2 |
| 2004 | -0.5 | 1.9 | 0.9 | -3.2 | 1.9 | -0.3 | 1 | -0.8 | 0.9 | 0.4 | 0.6 | 0.3 | 3.1 |
| 2005 | -0.2 | 0.3 | 1.5 | 1.5 | -1.9 | -2 | 2.1 | 2.6 | 0.6 | 1.4 | 1.9 | -1 | 7 |
| 2006 | 1.5 | 1.6 | -1 | 0.1 | 1.6 | -0.2 | -1.7 | 0.4 | -1.9 | 0.1 | -0.8 | -0.5 | -0.9 |
| 2007 | 2.1 | -2.1 | 0.9 | 0.6 | 1.5 | 0.3 | 0.1 | 2.5 | 1.9 | -4.8 | -0.1 | -3.5 | -0.8 |
| 2008 | 3.2 | -3.7 | 3.3 | 0.2 | -0.2 | -2.7 | -2.2 | -1.3 | -2.6 | 1.6 | -11.5 | 1.4 | -14.4 |
| 2009 | -2.2 | -5.7 | 4 | 1.8 | 2.4 | 1.1 | 2.6 | -3.2 | -4.2 | -4.4 | 2.8 | -0.5 | -6 |
| 2010 | 2.9 | 2.7 | 2.2 | -0.4 | -3.1 | 0.2 | 0.5 | 3.7 | 1.1 | 0.5 | 2.2 | 0.6 | 13.8 |
| 2011 | 1.6 | -2 | 1.7 | 1.3 | -1.9 | 0.8 | 1.3 | -0.1 | -4.1 | -2.8 | -1.4 | 0.5 | -5.3 |
| 2012 | 3.3 | 2.4 | 1.2 | 1.3 | -1.5 | 3.6 | 0.2 | 1.2 | -0.1 | 0.6 | -2 | 1.7 | 12.3 |
| 2013 | 2 | 2 | -0.7 | -1.2 | -1.1 | 0.3 | 1.5 | 1.6 | 0.5 | -1.4 | 2 | 0.5 | 6 |
| 2014 | 1.3 | -1.3 | 1.4 | 0.3 | -2.7 | 0.8 | 0.4 | -1.2 | -1.4 | -0.2 | -1.3 | -0.6 | -4.5 |
| 2015 | -2.1 | -1.5 | 2.1 | -0.1 | -1.3 | -0.6 | 1.8 | -5.6 | 1 | 0.6 | -0.8 | -0.4 | -7 |
| 2016 | -2 | 5.8 | -0.3 | 0.5 | 1.4 | 0.4 | -0.7 | 1.4 | 1.5 | -1.3 | -1.6 | -2.6 | 2.2 |
| 2017 | -0.1 | 2.1 | -3.2 | 0.1 | 1.8 | 0.6 | -0.2 | 1.1 | 1.2 | 0.1 | -0.8 | 1.3 | 3.9 |
| 2018 | -1.2 | -0.2 | 1.4 | -1.3 | 2.8 | 3.7 | -1.5 | 1.1 | -0.2 | 6.7 | -3.7 | -0.2 | 7.3 |
| 2019 | -1.9 | -1.3 | 4 | -1.8 | 1.6 | 0.4 | -2.4 | 2.7 | -0.5 | 0.8 | -0.8 | 0.1 | 0.7 |
| 2020 | -3 | -1 | -3.9 | -2.9 | 1.7 | 1.8 | -2.8 | 3.2 | 2 | 0.8 | 3.5 | -1.4 | -2.3 |
| 2021 | 2.1 | 3.8 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-02-07 19.5 SPY 83.4 -0.0122 -0.0307 -0.0872 -0.103 -0.228 -0.409 NA <NA> NA NA NA
2 2003-02-10 19.5 SPY 84.0 0.0071 -0.0257 -0.0948 -0.0744 -0.237 -0.413 NA <NA> NA NA NA
3 2003-02-13 19.2 SPY 82.4 0.003 -0.0249 -0.118 -0.0743 -0.266 -0.429 NA <NA> NA NA NA
4 2003-02-18 19.3 SPY 85.6 0.0176 0.0193 -0.0694 -0.0562 -0.228 -0.395 NA <NA> NA NA NA
5 2003-02-19 19.3 SPY 85.2 -0.0053 0.021 -0.0604 -0.0681 -0.217 -0.386 NA <NA> NA NA NA
6 2003-02-20 19.4 SPY 84.3 -0.01 0.0272 -0.0551 -0.068 -0.238 -0.396 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
